Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.2747 |
| Annualized Std Dev | 0.4366 |
| Annualized Sharpe (Rf=0%) | -0.6292 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2949.0000 |
| NAs | 1.0000 |
| Minimum | -0.1775 |
| Quartile 1 | -0.0144 |
| Median | -0.0015 |
| Arithmetic Mean | -0.0009 |
| Geometric Mean | -0.0013 |
| Quartile 3 | 0.0107 |
| Maximum | 0.2365 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | -0.0019 |
| UCL Mean (0.95) | 0.0001 |
| Variance | 0.0008 |
| Stdev | 0.0275 |
| Skewness | 0.7517 |
| Kurtosis | 9.4752 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0184 |
| Gain Deviation | 0.0225 |
| Loss Deviation | 0.0183 |
| Downside Deviation (MAR=210%) | 0.0236 |
| Downside Deviation (Rf=0%) | 0.0188 |
| Downside Deviation (0%) | 0.0188 |
| Maximum Drawdown | 0.9791 |
| Historical VaR (95%) | -0.0404 |
| Historical ES (95%) | -0.0614 |
| Modified VaR (95%) | -0.0347 |
| Modified ES (95%) | -0.0347 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2009-07-09 | 2021-03-17 | NA | -0.9791 | 2938 | 2935 | NA |
| 2009-06-23 | 2009-07-01 | 2009-07-07 | -0.0936 | 10 | 7 | 3 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | -3 | -2.8 | 5.4 | 4.5 | 6.8 | -5 | -0.5 | 4.9 |
| 2010 | -4.2 | -0.8 | -3.7 | 2.8 | 2.5 | -4.1 | 0.4 | -8.3 | -2.6 | 1.3 | -6.5 | -1.8 | -22.9 |
| 2011 | -4.8 | 3.4 | -2.6 | -0.7 | 5.2 | -2 | 3.4 | 2.8 | 7.8 | 8.2 | 1.8 | -0.9 | 22.9 |
| 2012 | -4.1 | -2.6 | -2 | -1.7 | 4.5 | -8.8 | -0.3 | -2.2 | -2 | -2.3 | -0.3 | -3.6 | -23.2 |
| 2013 | -2.3 | 0.9 | 1.1 | 1.3 | 3.9 | -2.2 | -2.1 | 1.8 | -1.1 | 1.3 | -1 | -0.8 | 0.6 |
| 2014 | 2.8 | -1 | -1.6 | -0.3 | -0.2 | -1.7 | 1.7 | 0 | 2 | -2.2 | -0.2 | 1.5 | 0.7 |
| 2015 | 3.4 | -0.4 | -1.7 | -1.6 | 1.2 | -1.1 | -1.2 | 5.4 | 0 | 0 | -1.3 | 2.8 | 5.3 |
| 2016 | -0.2 | -5.5 | 1.5 | 0.5 | 0.3 | -0.4 | 2 | -1.5 | -2.3 | 0.8 | 0.3 | -0.8 | -5.2 |
| 2017 | -0.6 | -2.1 | -0.4 | -0.9 | -1.3 | -0.1 | -1.6 | -0.5 | -1.8 | 0.1 | 0.7 | 0 | -8.3 |
| 2018 | -0.2 | 2.1 | -1.2 | 1.1 | -1.5 | -2.5 | 1.3 | 1.9 | -0.3 | -3.1 | 1.2 | -1 | -2.4 |
| 2019 | 0.3 | -1.4 | -2.3 | 1.3 | 1.3 | -0.7 | 0.6 | -0.9 | 2 | -1.4 | 1.1 | -0.8 | -1 |
| 2020 | 3 | 2 | 8.9 | 4.8 | -3.8 | -0.4 | 4.7 | 1 | -1.5 | 0.8 | -4.9 | 1.8 | 16.7 |
| 2021 | -2.5 | -3.5 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-06-19 624 SPY 92.0 0.0037 -0.0265 0.0226 0.207 -0.311 -0.252 -0.185 GLD 91.9 0.0032 -0.00290
2 2009-06-22 665. SPY 89.3 -0.03 -0.039 0.0008 0.0859 -0.322 -0.280 -0.211 GLD 90.5 -0.0148 -0.0061
3 2009-06-23 649. SPY 89.4 0.0008 -0.025 0.0037 0.109 -0.320 -0.285 -0.215 GLD 90.9 0.0042 -0.011
4 2009-06-24 646. SPY 90.1 0.0086 -0.0156 -0.0129 0.106 -0.313 -0.276 -0.215 GLD 91.4 0.00580 -0.0097
5 2009-06-25 629. SPY 92.1 0.0218 -0.0015 0.0269 0.108 -0.301 -0.26 -0.195 GLD 92.3 0.0094 0.0076
6 2009-06-26 632. SPY 91.8 -0.0026 -0.0022 0.0101 0.125 -0.284 -0.265 -0.193 GLD 92.3 -0.0002 0.0042
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
